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Optimal critical values of pre-tests when estimating the regression error variance : analytical findings under a general loss structure
Wan, Alan T. K.; Zou, Guohua - In: Journal of econometrics 114 (2003) 1, pp. 165-196
Persistent link: https://www.econbiz.de/10001738931
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Least squares model averaging by Mallows criterion
Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua - In: Journal of econometrics 156 (2010) 2, pp. 277-283
Persistent link: https://www.econbiz.de/10008648820
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Model averaging by jackknife criterion in models with dependent data
Zhang, Xinyu; Wan, Alan T. K.; Zou, Guohua - In: Journal of econometrics 174 (2013) 2, pp. 82-94
Persistent link: https://www.econbiz.de/10009751245
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Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
Zhou, Yong; Wan, Alan T. K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-201
Persistent link: https://www.econbiz.de/10008839929
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On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
Cheung, Yin-Wong - In: Journal of econometrics 62 (1994) 2, pp. 301-316
Persistent link: https://www.econbiz.de/10001162295
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong; Ng, Lilian K. - In: Journal of econometrics 72 (1996) 1-2, pp. 33-48
Persistent link: https://www.econbiz.de/10006794104